Viktor Todorov
Viktor Todorov

FINANCE
Associate Professor of Finance

Print Overview

Viktor Todorov is an Associate Professor of Finance. He joined Kellogg in 2007 after completing his PhD in Economics at Duke University.

Professor Todorov's research interests include theoretical and empirical asset pricing, derivatives and econometrics. His recent research focuses on robust estimation of asset pricing models using high-frequency financial data as well as the identification and modeling of jump risk premium combining information from options markets.

Print Vita
Education
PhD, 2007, Economics, Duke University
MA, 2002, Economics, Central European University
BA, 1999, Finance, Varna University of Economics

Academic Positions
Associate Professor of Finance, Kellogg School of Management, Northwestern University, 2011-present
Assistant Professor of Finance, Kellogg School of Management, Northwestern University, 2007-2011

Grants and Awards
Arnold Zellner Thesis for best Thesis in Business and Economic Statistics , American Statistical Association

 
Print Research
Research Interests
Asset pricing, econometrics, applied probability

Articles
Todorov, Viktor, George Tauchen and Iaryna Grynkiv. Forthcoming. Volatility Activity: Specification and Estimation. Journal of Econometrics.
Diop, A., Jean Jacod and Viktor Todorov. 2013. Central Limit Theorems for Approximate Quadratic Variations of Pure Jump into Semimartingales. Stochastic Processes and Their Applicationa. 123: 839-886.
Bollerslev, Tim, Viktor Todorov and Sophia Zhengzi Li. 2013. Jump Tails, Extreme Dependencies and the Distribution of Stock Returns. Journal of Econometrics.(172): 307-324.
Todorov, Viktor and George Tauchen. 2012. The Realized Laplace Transform of Volatility. Econometrica. 80: 1105-1127.
Todorov, Viktor and George Tauchen. 2012. Realized Laplace Transforms for Pure-Jump Semimartingales. Annals of Statistics. 40(2): 1233-1262.
Todorov, Viktor and George Tauchen. 2012. Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions. Journal of American Statistical Association. 107: 622-635.
Bollerslev, Tim and Viktor Todorov. 2011. Tails, Fears and Risk Premia. Journal of Finance . 66(6): 2165-2211.
Bollerslev, Tim and Viktor Todorov. 2011. Estimation of Jump Tails. Econometrica. 79(6): 1727-1783.
Todorov, Viktor, George Tauchen and Iaryna Grynkiv. 2011. Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models. Journal of Econometrics. 164(2): 367-381.
Todorov, Viktor and George Tauchen. 2011. Volatility Jumps. Journal of Business and Economic Statistics. 29(3): 356-371.
Todorov, Viktor and George Tauchen. 2011. Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation. Annals of Applied Probability. 21(2): 546-588.
Todorov, Viktor. 2011. Econometric Analysis of Jump-Driven Stochastic Volatility Models. Journal of Econometrics. 160(1): 12-21.
Jacod, Jean and Viktor Todorov. 2010. Do Price and Volatility Jump Together?. Annals of Applied Probability. 20(4): 1425-1469.
Todorov, Viktor and Tim Bollerslev. 2010. Jumps and Betas: A New Theoretical Framework for Disentangling and Estimating Systematic Risks. Journal of Econometrics. 157: 220-235.
Todorov, Viktor. 2010. Variance Risk Premium Dynamics: The Role of Jumps. Review of Financial Studies. 23(1): 345-383.
Todorov, Viktor and George Tauchen. 2010. Activity Signature Functions for High-Frequency Data Analysis. Journal of Econometrics. 154: 125-138.
Todorov, Viktor. 2009. Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data. Journal of Econometrics. 148: 131-148.
Jacod, Jean and Viktor Todorov. 2008. Testing for Common Arrival of Jumps in Discretely-Observed Multidimensional Processes. Annals of Statistics. 37: 1792-1838.
Todorov, Viktor and George Tauchen. 2006. Simulation Methods for Levy-driven CARMA Stochastic Volatility Models. Journal of Business & Economic Statistics. 24(4): 455-469.
Working Papers
Andersen, TorbenViktor Todorov and Nicola Fusari. 2013. The Risk Premia Embedded in Option Panels.
Andersen, Torben, N. Fusari and Viktor Todorov. 2012. Parametric Inference, Testing and Dynamic State Recovery from Option Panels with Fixed Time Span.
Todorov, Viktor. 2011. Investment Horizon Effects in the Presence of Estimation Risk the Case of Hungary.
Todorov, Viktor. 2007. Pricing and Dynamics of Idiosyncratic Variance: Evidence from an Integrated Study.
Book Chapters
Andersen, Torben and Viktor Todorov. 2010. "Realized Volatility and Multipower Variation." In Encyclopedia of Quantitative Finance, edited by Ole Barndorff-Nielsen and Eric Renault, Wiley.

 
Print Teaching
Teaching Interests
Derivatives, investments
Full-Time / Part-Time MBA
Derivatives Markets I (FINC-465-0)

This course counts toward the following majors: Analytical Finance, Finance.

This course covers the use and pricing of forwards and futures, swaps and options. Specific topics include strategies for speculation and risk management, no-arbitrage pricing for forward contracts, the binomial and Black-Scholes option pricing models and applications of pricing models in other contexts.

Doctoral
Topics in Finance (FINC-520-0)
Current research in topics such as international finance, empirical finance, capital structure and financial markets are analyzed. The seminar usually requires in-class presentations by students, as well as individual research projects.

Seminar In Finance (FINC-520-1)
The specification, estimation, and diagnostic testing of dynamic models involving economic time series present a host of unique statistical problems requiring the use of specialized inference procedures. This course provides an overview of some of the most important of these procedures. The focus will be on results most relevant for practical applications rather than formal proofs of theorems, with the various econometric techniques illustrated through problems in both macroeconomics and asset pricing finance.